Pratik BhadaneandGitHub
3e0f289d51
- Bumped version numbers across Cargo.toml, Cargo.lock, pyproject.toml, and conda/meta.yaml to 1.1.3. - Added new features including American option pricing, digital options, extended Greeks, and historical volatility estimators. - Enhanced documentation and tests for new functionalities. - Updated CHANGELOG.md to reflect changes for version 1.1.3.
116 lines
3.2 KiB
Rust
116 lines
3.2 KiB
Rust
use numpy::{IntoPyArray, PyArray1, PyReadonlyArray1};
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use pyo3::prelude::*;
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use ferro_ta_core::options::realized_vol as core;
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#[pyfunction]
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#[pyo3(signature = (close, window, trading_days = 252.0))]
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pub fn close_to_close_vol<'py>(
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py: Python<'py>,
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close: PyReadonlyArray1<'py, f64>,
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window: usize,
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trading_days: f64,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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Ok(core::close_to_close_vol(close.as_slice()?, window, trading_days).into_pyarray(py))
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}
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#[pyfunction]
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#[pyo3(signature = (high, low, window, trading_days = 252.0))]
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pub fn parkinson_vol<'py>(
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py: Python<'py>,
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high: PyReadonlyArray1<'py, f64>,
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low: PyReadonlyArray1<'py, f64>,
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window: usize,
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trading_days: f64,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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Ok(
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core::parkinson_vol(high.as_slice()?, low.as_slice()?, window, trading_days)
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.into_pyarray(py),
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)
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}
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#[pyfunction]
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#[pyo3(signature = (open, high, low, close, window, trading_days = 252.0))]
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#[allow(clippy::too_many_arguments)]
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pub fn garman_klass_vol<'py>(
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py: Python<'py>,
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open: PyReadonlyArray1<'py, f64>,
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high: PyReadonlyArray1<'py, f64>,
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low: PyReadonlyArray1<'py, f64>,
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close: PyReadonlyArray1<'py, f64>,
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window: usize,
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trading_days: f64,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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Ok(core::garman_klass_vol(
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open.as_slice()?,
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high.as_slice()?,
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low.as_slice()?,
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close.as_slice()?,
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window,
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trading_days,
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)
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.into_pyarray(py))
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}
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#[pyfunction]
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#[pyo3(signature = (open, high, low, close, window, trading_days = 252.0))]
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#[allow(clippy::too_many_arguments)]
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pub fn rogers_satchell_vol<'py>(
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py: Python<'py>,
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open: PyReadonlyArray1<'py, f64>,
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high: PyReadonlyArray1<'py, f64>,
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low: PyReadonlyArray1<'py, f64>,
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close: PyReadonlyArray1<'py, f64>,
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window: usize,
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trading_days: f64,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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Ok(core::rogers_satchell_vol(
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open.as_slice()?,
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high.as_slice()?,
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low.as_slice()?,
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close.as_slice()?,
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window,
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trading_days,
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)
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.into_pyarray(py))
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}
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#[pyfunction]
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#[pyo3(signature = (open, high, low, close, window, trading_days = 252.0))]
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#[allow(clippy::too_many_arguments)]
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pub fn yang_zhang_vol<'py>(
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py: Python<'py>,
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open: PyReadonlyArray1<'py, f64>,
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high: PyReadonlyArray1<'py, f64>,
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low: PyReadonlyArray1<'py, f64>,
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close: PyReadonlyArray1<'py, f64>,
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window: usize,
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trading_days: f64,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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Ok(core::yang_zhang_vol(
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open.as_slice()?,
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high.as_slice()?,
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low.as_slice()?,
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close.as_slice()?,
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window,
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trading_days,
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)
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.into_pyarray(py))
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}
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/// Returns a list of (window, min, p25, median, p75, max) tuples.
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#[allow(clippy::type_complexity)]
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#[pyfunction]
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#[pyo3(signature = (close, windows, trading_days = 252.0))]
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pub fn vol_cone(
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close: PyReadonlyArray1<'_, f64>,
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windows: Vec<usize>,
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trading_days: f64,
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) -> PyResult<Vec<(usize, f64, f64, f64, f64, f64)>> {
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let slices = core::vol_cone(close.as_slice()?, &windows, trading_days);
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Ok(slices
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.into_iter()
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.map(|s| (s.window, s.min, s.p25, s.median, s.p75, s.max))
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.collect())
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}
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